Hi Andy,
I'm clear on the MATZ situation. Not sure about ATZs though - certainly not sure at airports with full ATC. I beleve at airports with an AFIS or A/G service then you certainly don't need permission to transit through an ATZ, although the requirement is there to inform the ATSU of your intentions.
As for clearences within a circuit I would say that unless you were only cleared to a specific point then you fly the circuit as normal. If you are asked to report x,y or z then you do just that. Or as soon as is practical if the RTF is busy.
I have had a number of incindences at Shoreham where I cannot get a "downwind" call in until turning finals. Conversly at Southend I frequently get asked to report "when ready to turn left base" this is pretty implicit to me that I shouldn't be turning left base until the TWR is ready for me to do so.